Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 20 is Best) 19 17 19
Score 7.09 5.69 8.03
Market Cap (Millions USD) 5156.54 5092.65 5587.6
Predicted Beta 0.5 0.5 0.49
Idiosyncratic Volatility 0.44 0.64 0.68

Annualized return and volatility

SPYG
Annualized Return 0.0402
Annualized Std Dev 0.2073
Annualized Sharpe (Rf=0%) 0.1941

Row

Daily Return Statistics

SPYG
Observations 4920.0000
NAs 194.0000
Minimum -0.1161
Quartile 1 -0.0046
Median 0.0005
Arithmetic Mean 0.0002
Geometric Mean 0.0002
Quartile 3 0.0057
Maximum 0.1248
SE Mean 0.0002
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0006
Variance 0.0002
Stdev 0.0131
Skewness -0.1015
Kurtosis 10.7835

Downside Risk

SPYG
Semi Deviation 0.0094
Gain Deviation 0.0096
Loss Deviation 0.0107
Downside Deviation (MAR=210%) 0.0140
Downside Deviation (Rf=0%) 0.0093
Downside Deviation (0%) 0.0093
Maximum Drawdown 0.6764
Historical VaR (95%) -0.0202
Historical ES (95%) -0.0324
Modified VaR (95%) -0.0188
Modified ES (95%) -0.0256
From Trough To Depth Length To Trough Recovery
2000-10-03 2009-03-09 2013-12-23 -0.6764 3382 2157 1225
2018-10-02 2018-12-24 2019-04-23 -0.2061 141 59 82
2015-11-04 2016-02-11 2016-07-08 -0.1333 172 69 103
2015-07-21 2015-08-25 2015-11-02 -0.1179 76 27 49
2018-01-29 2018-02-08 2018-06-04 -0.0987 89 9 80

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec SPYG
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA NA NA NA NA NA 0.0 -0.8 0 -0.8
2001 -0.2 -5.3 0.0 0.0 -0.4 0.0 0.8 0.0 -1.4 1.4 0.0 0 -5.1
2002 -0.3 2.4 -0.1 0.3 0.0 -0.1 -0.3 0.0 3.6 0.4 0.0 0 6.0
2003 0.0 0.0 -0.1 -0.4 0.0 1.0 -1.7 0.0 1.6 0.0 0.6 0 0.9
2004 0.0 0.8 -0.1 0.0 0.0 -1.5 0.0 0.7 1.7 0.1 1.6 0 3.3
2005 0.5 0.7 -1.4 0.0 0.4 0.0 0.1 0.0 0.0 -1.1 1.4 0 0.7
2006 -0.4 1.2 0.0 -0.1 1.6 0.0 -0.7 0.4 0.0 -0.9 -0.6 0 0.4
2007 0.2 -0.4 0.0 0.1 0.4 0.0 0.7 0.0 1.3 -1.8 0.0 0 0.5
2008 1.9 0.0 2.9 1.9 0.0 -0.1 -0.8 0.0 -1.5 0.0 -7.4 0 -3.4
2009 0.0 0.0 1.5 0.2 3.4 0.1 0.0 -1.5 -2.5 0.0 2.0 0 3.1
2010 1.0 1.4 0.0 0.0 -1.9 -0.3 0.0 3.1 0.0 0.3 2.1 0 5.8
2011 1.4 -1.4 0.3 0.0 -1.4 1.3 -0.5 -1.1 0.0 -2.6 0.4 0 -3.6
2012 0.7 0.5 0.0 0.7 -2.3 0.0 -0.4 0.0 0.3 1.1 0.0 0 0.6
2013 1.0 0.5 -0.6 -0.7 0.0 0.9 1.3 0.0 0.8 0.1 0.0 0 3.3
2014 0.0 0.0 1.0 0.1 0.0 1.0 -0.2 0.0 -1.4 0.0 -0.9 0 -0.5
2015 0.0 0.0 -0.5 1.3 0.2 0.4 0.0 -2.7 0.1 0.0 1.0 0 -0.2
2016 0.2 2.6 0.8 0.0 0.1 0.4 0.1 0.1 0.0 -0.9 -1.1 0 2.3
2017 0.3 1.2 0.0 0.4 0.5 0.0 0.3 0.1 0.0 0.0 -0.3 0 2.5
2018 -0.4 -1.5 0.0 0.7 1.3 0.0 0.3 0.0 0.3 1.2 0.0 0 2.0
2019 0.0 0.8 1.0 -1.0 0.0 0.9 -0.4 0.0 -1.2 0.6 0.0 0 0.6

Row

Rolling Performance Chart

Snail Trail Chart